Worms Armageddon and Worms World Party allow players to use a custom image as their team's grave, shown after any of the worms in that team dies by losing all of its health. The games come with many graves pre-installed with the .bmp file extension, but players can make their own and import them easily by putting them in the %installpath%\User\Graves directory. These custom bitmaps must have the following attributes to appear in the custom graves list within WA's/WWP's team editor screen:

The first colour in the palette must be all black (0 red, 0 green, 0 blue; 24-bit hexadecimal colour code: #000000) to allow transparency during gameplay. Keep in mind that all black pixels will be transparent, to avoid transparent eye pupils or other intentionally-black marks.

If you can't get it to work, try modifying one already in the directory and saving it as a new name. This will ensure all the settings are correct.